Re: [R] Probit model- endogeneity issue

[John C Frain]

On Wed 24 Mar 2021 at 07:54, hannelore nelissen <
hannelore.nelis...@outlook.be> wrote:

> Dear all,
> I am having some issues with using the IV strategy for an endogeneity
> problem in terms of a probit model.  In particular, I want to follow a
> two-stage procedure where I estimate a probit on the decision to peg the
> exchange rate, and then use the predicted values in the second stage
> regression. So, I need to get a probability that the country has a peg
> (estimated based on the Z variables). So, in the second stage, I have to
> include this estimated probability of the first stage (and exclude the Z
> variables that showed a significant effect). However, I do not know how to
> get this estimated probability of the first stage which I can then include
> in my second stage?
> Can somebody help me with the command I should use?
>
>
> I would really appreciate it, thanks Dear all,
>
>
> I find it a bit difficult to follow your question.  You might find

Lee (1981), Simultaneous Equation Models with discrete and censored
dependent variables, in Mansfield and McFadden (Ed’s), 346-364, MIT,
helpful in suggesting ways to proceed.

 Chapter 19 of Wooldridge :(2010), Econometric Analysis of Cross Section
and Panel Data, Princeton, may also be useful.

You might look at the r packages ivprobit and ivporbit






>
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-- 
John C Frain
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Dublin 14
Ireland
www.tcd.ie/Economics/staff/frainj/home.html
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[R] Probit model- endogeneity issue

[hannelore nelissen]

Dear all,
I am having some issues with using the IV strategy for an endogeneity problem 
in terms of a probit model.  In particular, I want to follow a two-stage 
procedure where I estimate a probit on the decision to peg the exchange rate, 
and then use the predicted values in the second stage regression. So, I need to 
get a probability that the country has a peg (estimated based on the Z 
variables). So, in the second stage, I have to include this estimated 
probability of the first stage (and exclude the Z variables that showed a 
significant effect). However, I do not know how to get this estimated 
probability of the first stage which I can then include in my second stage?
Can somebody help me with the command I should use?


I would really appreciate it, thanks Dear all,




Verzonden vanuit Mail voor 
Windows 10


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and provide commented, minimal, self-contained, reproducible code.